A maximal inequality for exchangeable systems of random variables

MaRDI QIDQ2726276zbMATH OpenFDO

Authors Habib Salehi, Sergei Chobanyan

Publication date 16 July 2001

zbMATH Keywords

finite exchangeable systemmaximal inequalitynormed space valued random variablestail probability

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Inequalities; stochastic orderings (60E15) Exchangeability for stochastic processes (60G09)

Review text

The aim of this paper is to investigate the distribution of \(a_{n}:=\max_{k\leq n}\|\xi_{1}+\dots +\xi_{k}\|\) for an exchangeable system of random variables \((\xi_{1},\dots ,\xi_{n})\), \(\sum_{1}^{n}\xi_{j}=0\), taking values in a normed space \(X\). By an exchangeable system of random variables (or simply exchangeable random variables) \((\xi_{1},\dots ,\xi_{n})\) it is understood a system whose joint distribution does not change under any of its rearrangement. It is proved that the tail probability of \(a_{n}\) is equivalent to that of \(\sum_{1}^{n}\xi_{j}r_{j},\) where \((r_{1},\dots ,r_{n})\) is a Rademacher system independent of \((\xi_{1},\dots ,\xi_{n})\). For the entire collection see [Zbl 0956.00022].

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(10)

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• On the tail estimation of the norm of Rademacher sums
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